Golub, Bennett W.
Risk management approaches for fixed income markets Bennett W. Golub, Leo M. Tilman. - xxiii, 312 páginas ilustrado 24 cm. - Wiley frontiers in finance . - Wiley frontiers in finance .
Incluye referencias bibliográficas (p. 298-304) e índice.
The Art and Science of Risk Management -- Parametric Approaches to Risk Management -- Modeling Yield Curve Dynamics -- Measuring Interest Rate, Basis, and Currency Risks -- Value-at-Risk Methodological Trade-Offs -- Using Portfolio Optimization Techniques to Manage Risk. Ch. 1. Ch. 2. Ch. 3. Ch. 4. Ch. 5. Ch. 6.
"Written by two senior risk management practitioners of a global money management and risk advisory firm, this book utilizes a blend of finance, economics, mathematics, and common sense in applying financial modeling techniques to managing risk in fixed income markets. With a focus on both theoretical and practical considerations, a variety of existing and new approaches are brought together in a thorough but easy-to-understand fashion, including: interest rate and basis risk durations; scenario analysis; expected rate of return; principal components analysis; value-at-risk; stress testing; and portfolio and hedge optimizations."--BOOK JACKET.
0471332119
Fixed-income securities.
Portfolio management
Administracion de riesgos
Administración de cartera (finanzas)
Valores de renta fija
Risk management
332.63 / G629r
Risk management approaches for fixed income markets Bennett W. Golub, Leo M. Tilman. - xxiii, 312 páginas ilustrado 24 cm. - Wiley frontiers in finance . - Wiley frontiers in finance .
Incluye referencias bibliográficas (p. 298-304) e índice.
The Art and Science of Risk Management -- Parametric Approaches to Risk Management -- Modeling Yield Curve Dynamics -- Measuring Interest Rate, Basis, and Currency Risks -- Value-at-Risk Methodological Trade-Offs -- Using Portfolio Optimization Techniques to Manage Risk. Ch. 1. Ch. 2. Ch. 3. Ch. 4. Ch. 5. Ch. 6.
"Written by two senior risk management practitioners of a global money management and risk advisory firm, this book utilizes a blend of finance, economics, mathematics, and common sense in applying financial modeling techniques to managing risk in fixed income markets. With a focus on both theoretical and practical considerations, a variety of existing and new approaches are brought together in a thorough but easy-to-understand fashion, including: interest rate and basis risk durations; scenario analysis; expected rate of return; principal components analysis; value-at-risk; stress testing; and portfolio and hedge optimizations."--BOOK JACKET.
0471332119
Fixed-income securities.
Portfolio management
Administracion de riesgos
Administración de cartera (finanzas)
Valores de renta fija
Risk management
332.63 / G629r